The Løkka–Zervos Alternative for a Cramér–Lundberg Process with Exponential Jumps - Université Gustave Eiffel
Article Dans Une Revue Risks Année : 2019

The Løkka–Zervos Alternative for a Cramér–Lundberg Process with Exponential Jumps

Résumé

In this paper, we study a stochastic control problem faced by an insurance company allowed to pay out dividends and make capital injections. As in (Løkka and Zervos (2008); Lindensjö and Lindskog (2019)), for a Brownian motion risk process, and in Zhu and Yang (2016), for diffusion processes, we will show that the so-called Løkka–Zervos alternative also holds true in the case of a Cramér–Lundberg risk process with exponential claims. More specifically, we show that: if the cost of capital injections is low, then according to a double-barrier strategy, it is optimal to pay dividends and inject capital, meaning ruin never occurs; and if the cost of capital injections is high, then according to a single-barrier strategy, it is optimal to pay dividends and never inject capital, meaning ruin occurs at the first passage below zero.

Dates et versions

hal-04263241 , version 1 (28-10-2023)

Identifiants

Citer

Florin Avram, Dan Goreac, Jean-François Renaud. The Løkka–Zervos Alternative for a Cramér–Lundberg Process with Exponential Jumps. Risks, 2019, 7 (4), pp.120. ⟨10.3390/risks7040120⟩. ⟨hal-04263241⟩
30 Consultations
0 Téléchargements

Altmetric

Partager

More